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PRMIA Credit and Counterparty Manager (CCRM) Certificate Sample Questions:

1. For a security with a daily standard deviation of 2%, calculate the 10-day VaR at the 95% confidence level.
Assume expected daily returns to be nil.

A) None of the above.
B) 0.02
C) 0.1471
D) 0.104

2. Which of the following is not an example of a risk concentration?

A) Material amounts of treasury obligations held as collateral provided by a single counterparty
B) Origination of a large number of SIVs with exposures to the same asset class, where the SIVs are separate legal entities without recourse to the originator
C) Large combined positions in assets affected by different risk factors that are highly correlated
D) Location of a portfolio's assets in a single country but spread across different industries

3. For a US based investor, what is the 10-day value-at risk at the 95% confidence level of a long spot position of EUR 15m, where the volatility of the underlying exchange rate is 16% annually. The current spot rate for EUR is 1.5. (Assume 250 trading days in a year).

A) 1184400
B) 5922000
C) 526400
D) 2632000

4. According to the Basel II standard, which of the following conditions must be satisfied before a bank can use
'mark-to-model' for securities in its trading book?
I. Marking-to-market is not possible
II. Market inputs for the model should be sourced in line with market prices III. The model should have been created by the front office IV. The model should be subject to periodic review to determine the accuracy of its performance

A) I, II, III and IV
B) II and III
C) I, II and IV
D) III and IV

5. The accuracy of a VaR estimate based on a Monte carlo simulation of portfolio prices is affected by:
I). The shape of the distribution of portfolio values
II). The number simulations carried out
III). The confidence level selected for the VaR estimate

A) I, II and III
B) III
C) II and III
D) II

Solutions: